Jackknife estimation with a unit root

Marcus Chambers and Maria Kyriacou

Statistics & Probability Letters, 2013, vol. 83, issue 7, 1677-1682

Abstract: We study jackknife estimators in a first-order autoregression with a unit root. Non-overlapping sub-sample estimators have different limit distributions, so the jackknife does not fully eliminate first-order bias. We therefore derive explicit limit distributions of the numerator and denominator to calculate the expectations that determine optimal jackknife weights. Simulations show that the resulting jackknife estimator produces substantial reductions in bias and RMSE.

Keywords: Jackknife; Bias reduction; Unit root (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spl.2013.03.016

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